1 citations · 2 across the 9 of their papers we have counts for
10 papers
Sharp Causal Bounds for Dynamic Treatment Regimes
Alexander Alvarez, Sebastian E. Ferrando
We study dynamic treatment regimes under contemporaneous confounding: at each stage, an unmeasured factor may affect both treatment and the next observed state, but has no further…
Baseball, An Extensive-Form Game-Theoretic Duel
Sebastian E. Ferrando, Eli Kohn
We formulate a baseball plate appearance as a finite two-person, zero-sum, extensive-form game with chance moves and imperfect information. Successive pitch cycles are connected th…
Conditional Non-Lattice Integration, Pricing and Superhedging
Christian Bender, Sebastian E. Ferrando, Alfredo L. Gonzalez
Closely motivated by financial considerations, we develop an integration theory which is not classical i.e. it is not necessarily associated to a measure. The base space, denoted b…
Model-Free Finance and Non-Lattice Integration
Christian Bender, Sebastian Ferrando, Alfredo Gonzalez
Starting solely with a set of possible prices for a traded asset (in infinite discrete time) expressed in units of a numeraire, we explain how to construct a Daniell type of in…
No-Arbitrage Symmetries
I. L. Degano, S. E. Ferrando, A. L. Gonzalez
The no-arbitrage property is widely accepted to be a centerpiece of modern financial mathematics and could be considered to be a financial law applicable to a large class of (ideal…
Pricing Energy Contracts under Regime Switching Time-Changed models
Konrad Gajewski, Sebastian Ferrando, Pablo Olivares
The shortcomings of the popular Black-Scholes-Merton (BSM) model have led to models which could more accurately model the behavior of the underlying assets in energy markets, parti…